Did I say they do? (My answer was too short, I guess... )
A steroid is a lipid formed of four carbon rings. (not the well known structure: 3 fatty acids+ 1 glycerol) Steroids differ one another chiefly in the kind of R groups attached to these rings.
Steroids are categorized according to function. Some steroids are hormones, which regulate cellular activity; some are vitamins, which have various functions; and athers are cholesterol, which contributes to the structure of some cellular membranes. Cholesterol is also the fundamental molecule from which all steroids derived.
have a look at the link to see the structure: